Abstract
We examine volatility information embedded in the demand for options by analyzing data related to trades and investors. We find that overall demand for volatility in the options market does not predict stock market volatility but that foreign investors’ vega-weighted net demand conveys significant information about future volatility dynamics. Foreign investors use their superior volatility information by trading near-the-money options with high vega values.
| Original language | English |
|---|---|
| Pages (from-to) | 266-270 |
| Number of pages | 5 |
| Journal | Finance Research Letters |
| Volume | 30 |
| DOIs | |
| State | Published - Sep 2019 |
Keywords
- Foreign investor
- KOSPI200 options
- Market microstructure
- Vega
- Volatility information
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